JAPANESE GOVERNMENT BONDS Quarterly Newsletter of the Ministry of Finance, Japan

Transcription

1 JAPANESE GOVERNMENT BONDS Quarterly Newsletter of the Ministry of Finance, Japan JGB Issuance Plan for FY214 Ministry of Finance formulated and announced the JGB Issuance Plan for FY214 on December 24, 213. The details of the issuance plan are as follows. Issuance Size The total issuance of the JGB for FY214 is planned to be trillion yen, the largest ever. The market-issuance (Calendar-Base issuance) is to decrease against the previous year for the first time in six years since FY28, mainly because of the advanced issuance of refunding bonds in FY213. Breakdown by Legal Grounds Construction Bonds Special Deficit- Financing Bonds FY213 (Initial) (a) WHAT S NEW FY213 (Supplementary Budget) FY214 (Initial) (Unit: billion yen) (b) (b)-(a) (c) (c)-(a) (c)-(b) 5,775. 7,14. 1,239. 6, ,12. 37,76. 35,837. 1, ,248. 1, Jan. 214 Contents 1. What s New P.1 2. JGB Primary Market P.3 3. The Auctions for Enhanced-Liquidity and JGB Buy-Back P.4 Subtotal Special Bonds for covering Public Pension Funding Subtotal for the General Account Reconstruction Bonds FILP Bonds Refunding Bonds 42, , ,25 1,61. 1,61. 2,611. 2, ,611. 2, , , ,25 4,212. 4,212. 1, , , , , 11, - 16, 5, 5, 112, ,87.4 1, , , , JGB Secondary Market P.5 5. JGB Outstanding P.7 For matured Reconstruction Bonds Total Breakdown by Financing Methods JGB Market Issuance (Calendar Base) 3,669. 2, , , , ,2.5 17, , , , , ,912.4 FY213 (Initial) (a) FY213 (Supplementary Budget) (b) (b)-(a) (Unit: billion yen) FY214 (Initial) (c) (c)-(a) (c)-(b) 156,6 156,6-155,1 1,5 1,5 6. Economic and Financial Trends P.8 Non-Price Competitive Auction Ⅱ Adjustment between fiscal years Subtotal Financed in the Market Nonmarketable JGBs for Retail Investors OTC Sales for Households Subtotal for Households BOJ Rollover Total 4, ,88.5 3,43. 4, ,41.5 4, , , , , , , , , , , , ,6 2, 4 2, , 2,4 4 2, ,7 11,7-11, , , , , , ,912.4 The total buy-back amount in the market is up to approximately 4. trillion yen in FY214, including the buy-back of Inflation-Indexed Bonds offered up to their issuance amount (Details of buy-back operations will be determined on a quarterly basis taking market conditions into consideration). The maximum amount of Front-Loading Issuance of Refunding Bonds in FY214 is 25 trillion yen. (Note1) Figures may not sum up to total because of rounding. (Note2) "JGB Market Issuance (Calendar Base)" refers to JGBs issued by scheduled auctions from April to next March. (Note3) Non-price competitive auction Ⅱ is an auction carried out after the price-competitive auction. The price offered is equal to the weighted average accepted price in the price-competitive auction. Only the JGB Market Special Participants are eligible to bid in this auction (The amount assignable to each Market Special Participant does not exceed 15% of the amount awarded to it in the price-competitive auction). Non-price competitive auction Ⅱ is estimated to be 3.75% of the JGB Market Issuance (4-Year, 3-Year, 2-Year, 1-Year, 5-Year, 2-Year Bonds and Inflation-Indexed Bonds). (Note4) "Adjustment between fiscal years" refers to leveling-off of issuance amount between fiscal years through front-loading issuance and deferred issuance in the accounting adjustment term. The Ministry of Finance

2 Main Policies in FY214 Extending the Average Maturity The average maturity of the market-issuance is extended by 6.6 months, reaching to 8 years and 5 months for FY214 with a lowered refinance risk. Reflecting market voice, the extension is achieved by a well-balanced mixture of maturity terms from short to super long. Enhancing the Market Liquidity The amount of Auctions for Enhanced-Liquidity is to increase by 1 billion yen per month in order to maintain and enhance the liquidity of the JGB secondary market. Also, the scope of the auctions will be expanded to include every off-the-run issue. 2-Year bonds will be reopened in principle, to add volume. Encouraging the Inflation-Indexed Bonds Market The issuance of Inflation-Indexed Bonds (re-offered since October 213) will be increased to meet the needs of a variety of entities including pension funds. An additional issuance will be made flexibly, based on quarterly discussion with market participants. Market Issuance Plan by JGB Types (Unit: trillion yen) FY213 (Initial) FY214 (Initial) (per time) (total; a) (per time) (total; b) (b)-(a) 4-Year.4 4 times times times.6 4 times 3-Year times.7 8 times 2-Year times times Year times times Year times times Year times times TBs (1-Year) times times times 1-Year Inflation-Indexed times Auctions for Enhanced-Liquidity.6 12 month month Total (Note1) (Note2) (Note3) (Note4) (Note5) 4-Year Bonds will be issued in May, August, November and February. 3-Year Bonds will be issued.6 trillion yen each in May, August, November and February and.7 trillion yen each in the other months. While the issuance amount of Treasury Bills (TB) will be decreased, new 1-Year Financing Bills (FB) compensate the decrease, maintaining the total issuance of T-Bills (TB+FB) at 2.5 trillion yen per issue. An additional issuance of 1-Year Inflation-Indexed Bonds will be made flexibly, based on quarterly discussion with market participants. Details of Auctions for Enhanced-Liquidity will be determined based on quarterly discussion with market participants as well as market conditions

3 2 JGB PRIMARY MARKET Auction Date Type of Security Issue Number Maturity Date Auction Results (Bonds) Nominal Coupon Competitive Bids Bids Accepted Yield at the Lowest Accepted Price Yield at the Average Price Non-Competitive Bids Tendered /Accepted Bids Accepted at the Nonprice-competitive Auction Ⅰ Bids Accepted at the Nonprice-competitive Auction Ⅱ 1/1/213 1-year 33 9/2/223.8% 8, , %.682% /8/213 1-year Inflation-Indexed Bonds 17 9/1/223.1% 1, % /1/213 3-year 4 9/2/ % 2, % 1.63% /16/213 5-year 115 9/2/218.2% 11,84.5 2, %.23% /22/213 2-year 146 9/2/ % 4, , % 1.474% /29/213 2-year /15/215.1% 21, , % 94% /6/213 1-year 331 9/2/223.6% 8,37.2 2, %.65% /12/213 3-year 4 9/2/ % 1, % 1.616% /14/213 5-year 115 9/2/218.2% 12, , %.193% /19/213 2-year 146 9/2/ % 5, , % 1.514% /26/213 4-year 6 3/2/ % 1, % /28/213 2-year /15/215.1% 17, , % 86% /5/213 1-year /2/223.6% 8, , %.648% /1/213 3-year 41 12/2/ % 2, % 1.74% /12/213 5-year /2/218.2% 11,91. 2, %.197% /17/213 2-year /2/ % 4, , % 1.586% /25/213 2-year 336 1/15/216.1% 15, , % 94% Auction Results (Treasury Discount Bills) Auction Date Type of Security Issue Number Maturity Date Competitive Bids Bids Accepted Yield at the Lowest Accepted Price Yield at the Average Price Bids Accepted at the Nonprice-competitive Auction Ⅰ 1/3/213 3-month 4 1/14/214 41, , % 527% /8/213 6-month 41 4/1/214 23, , % 61% /9/213 Approx. 2-month 42 12/4/213 22, , % 54% /1/213 3-month 43 1/2/214 42, , % 594% /16/213 1-year 44 1/2/214 17, , % 642% /17/213 3-month 45 1/27/214 42, , % 674% /24/213 3-month 46 2/3/214 42, , % 722% /3/213 3-month 47 2/1/214 41, , % 726% /6/213 6-month 48 5/13/214 27,63.1 3, % 618% /7/213 3-month 49 2/17/214 47, , % 588% /14/213 3-month 41 2/24/214 45, , % 521% /18/213 1-year /2/214 15,94.2 2, % 55% /19/213 Approx. 2-month 412 1/24/214 19,147. 2, % 632% /2/213 3-month 413 3/3/214 43, , % 577% /28/213 3-month 414 3/1/214 32, , % 376% /5/213 3-month 415 3/17/214 33, , % 547% /6/213 6-month 416 6/1/214 19, , % 561% /11/213 Approx. 2-month 417 2/4/214 17, , % 592% /12/213 3-month 418 3/24/214 32, , % 61% /18/213 1-year /22/214 14,977. 2, % 587% /19/213 3-month 42 3/28/214 27, , % 574% Auction Calendar for Jan. Mar. 214 Auction Date Issue Auction Date Issue Auction Date Issue Auction Date Issue 1/7 (Tue) T-Bills(3-month) 1/23 (Thu) T-Bills(3-month) 2/14 (Fri) 5-year 3/6 (Thu) 3-year 1/7 (Tue) 1-year 1/23 (Thu) 2-year 2/17 (Mon) T-Bills(1-year) 3/12 (Wed) Auction for Enhanced-liquidity 1/9 (Thu) T-Bills(3-month) 1/28 (Tue) Auction for Enhanced-liquidity 2/19 (Wed) 2-year 3/13 (Thu) T-Bills(3-month) 1/9 (Thu) 1-year Inflation-Indexed Bonds 1/3 (Thu) T-Bills(3-month) 2/2 (Thu) T-Bills(3-month) 3/14 (Fri) 5-year 1/1 (Fri) T-Bills(6-month) 1/3 (Thu) 2-year 2/21 (Fri) Auction for Enhanced-liquidity 3/18 (Tue) T-Bills(1-year) 1/15 (Wed) T-Bills(1-year) 2/4 (Tue) 1-year 2/25 (Tue) 4-year 3/18 (Tue) 2-year 1/15 (Wed) 3-year 2/5 (Wed) T-Bills(6-month) 2/27 (Thu) T-Bills(3-month) 3/19 (Wed) T-Bills(3-month) 1/16 (Thu) T-Bills(3-month) 2/6 (Thu) T-Bills(3-month) 2/27 (Thu) 2-year 3/2 (Thu) T-Bills(Approx.2-month) 1/17 (Fri) Auction for Enhanced-liquidity 2/6 (Thu) 3-year 3/4 (Tue) 1-year 3/25 (Tue) Auction for Enhanced-liquidity 1/21 (Tue) T-Bills(Approx.2-month) 2/12 (Wed) Auction for Enhanced-liquidity 3/5 (Wed) T-Bills(6-month) 3/26 (Wed) T-Bills(3-month) 1/21 (Tue) 5-year 2/13 (Thu) T-Bills(3-month) 3/6 (Thu) T-Bills(3-month) 3/27 (Thu) 2-year Note 1: The above calendar may be changed or added in light of changes in circumstances. In such cases, it will be announced in advance. Note 2: Each issue amount will be announced about one week prior to each auction date. Note 3: The issue date of the Treasury Discount Bills auctioned on January 21, 214 is January 24, 214, and the maturity date is March 25, 214. Note 4: The issue date of the Treasury Discount Bills auctioned on March 2, 214 is March 25, 214, and the maturity date is May 23, Total Bidding Amount of JGBs (Calculated by Duration) Top 1 (Jul. 213 ~ Dec. 213) 1 Daiwa Securities Co. Ltd. 6 Merrill Lynch Japan Securities Co., Ltd. 2 Mitsubishi UFJ Morgan Stanley Securities Co., Ltd. 7 Mizuho Bank, Ltd. 3 Nomura Securities Co., Ltd. 8 JPMorgan Securities Japan Co., Ltd. 4 Mizuho Securities Co., Ltd. 9 Goldman Sachs Japan Co., Ltd. 5 The Bank of Tokyo-Mitsubishi UFJ, Ltd. 1 SMBC Nikko Securities Inc. -3-

4 3 THE AUCTION FOR ENHANCED-LIQUIDITY AND JGB BUY-BACK Auction Date 12/19/213 12/3/213 11/22/213 11/1/213 Issues Re-opened through the Recent Auctions for Enhanced-Liquidity Securities 1-year 2-year 2-year 3-year 1-year 2-year 2-year 3-year 1/18/213 2-year 1/3/213 2-year 3-year #297 #298 #299 #314 #63 #76 Issue Numbers Re-opened Amounts(billion yen. face value) #111 #118 #119 #12 #125 #126 #4 #5 #9 #14 #16 #17 #18 #2 #21 #23 #25 #26 # #28 #29 #3 #32 #33 #34 #35 # #297 #298 #299 #42 # #111 #122 #124 #125 #126 #128 #129 #131 #132 #134 #137 #142 #7 #9 #1 #14 #15 #17 # #19 #2 #21 #22 #23 #24 #25 #27 #28 #32 #33 #34 #37 # #43 #62 #76 #99 #1 #11 #12 #14 # #125 #142 #144 #1 #28 #29 # Note:Red shows 1-year, black shows 2-year and blue shows 3-year coupon-bearing bonds. Target Zones of the Auction for Enhanced-Liquidity for the Fourth Quarter of FY 213 1Remaining maturity : approx.5 ~15.5 year 7,5 7, 6,5 6, 5,5 5, 4,5 4, 3,5 3, 2,5 2, 1,5 1, 5 Outstanding amount in the market (excluding amount issued by the Auction for Enhanced-liquidity) Amount issued by the Auction for Enhanced-liquidity JL41 JL JL JL44 JL JL JL JL JL49 JL JL JL JL53 JL JL JL56 JL JL JL59 JL6 328 JL JL62 JL63 JL64 JL65 JL66 JL67 JL68 JL69 JL7 JL71 JL72 JL73 JL74 JL75 JL76 JL77 JL78 JL79 JL8 JL81 JL82 JL83 JL84 JL85 JL86 JL87 JL88 JL89 JL9 JL91 JL92 JL93 JL94 JL95 JL96 JL97 JL98 JL99 JL1 JL11 JL12 JL13 JL14 JL15 JL16 JL17 JL18 JL19 JL11 JL111 JL (Remaining maturities) 2Remaining maturity : approx.15.5 ~39 year 4, 3,5 3, 2,5 Outstanding amount in the market (excluding amount issued by the Auction for Enhanced-liquidity) Amount issued by the Auction for Enhanced-liquidity 2, 1,5 1, 5 JL113 JX1 JL114 JL115 JX2 JL116 JL117 JX3 JL118 JL119 JL12 JL121 JL122 JX4 JL123 JL124 JL125 JL126 JL127 JX5 JL128 JL129 JL13 JL131 JX6 JL132 JL133 JL134 JL135 JL136 JX7 JL137 JL138 JL139 JL14 JX8 JL141 JL142 JX9 JL143 JL144 JX1 JL145 JX11 JX12 JX13 JX14 JX15 JX16 JX17 JX18 JX19 JX2 JX21 JX22 JX23 JX24 JX25 JX26 JX27 JX28 JX29 JX3 JX31 JX32 JX33 JX34 JX35 JX36 JX37 JX38 JX39 JU1 JU2 JU3 JU4 JU (Remaining maturities) Note1: JL shows 2 year JGBs. JX shows 3 year JGBs. JU shows 4 year JGBs.Outstanding amount is as of the end of December 213. Note2: Based on the result of the consultation to the JGB Market Special Participants which takes place at the time of each auction,6 issues from each of the above 2 groups are selected as targeted issues. JGB Buy-Back Results Remaining Years to Maturity ~1yr 1yr~5yr 5yr~1yr 1yr~2yr 2yr~ Coupon STRIPS Total December November October Note:Figures include JGB Buy-back from the Bank of Japan. 39 2,5 2, 1,5 1, , , Oct. to Dec. 213 Jul. to Sep. 213 Apr. to Jun. 213 Jan. to Mar. 213 ~1Y 1Y~5Y 5Y~1Y 1Y~2Y 2Y~ (years to maturity)

5 4 JGB SECONDARY MARKET JGB Yield Curves /9/3 213/12/3 5 Source: Japan Bond Trading Co.,Ltd (years to maturity) Yields of JGB 4-year bond 3-year bond 2-year bond 1-year bond 5-year bond 2-year bond <29> <21> <211> <212> <213> Source: Japan Bond Trading Co.,Ltd. 5. Long - Term Interest Rates (1Yr) United Kingdom Germany United States Japan <29> <21> <211> <212> <213> Source: Bloomberg Long - Short Interest Spreads (1Yr - 2Yr) United Kingdom Germany United States Japan <29> <21> <211> <212> <213> Source: Bloomberg -5-

6 Break-Even Inflation Rates yr BEI (Japan) 1-yr BEI (Japan) 1-yr BEI (U.K.) 1-yr BEI (U.S.A.) <29> <21> <211> <212> <213>.5.4 Note: 5-yr BEI (Japan) is calculated based on compound interest rate of old Inflation-Indexed Bonds (issue number 16, current maturity 4-year and 6-month) and 1-year Bonds (issue number 293, current maturity 4-year and 6-month). 1-yr BEI (Japan) is calculated based on compound interest rate of new Inflation-Indexed Bonds (issue number 17, current maturity 9-year and 9-month) and 1-year Bonds (issue number 33, current maturity 9-year and 9-month). Source: Japan: The MOF did a calculation based on the information of interest rate offered by NIKKEI QUICK U.S.A., U.K. : Bloomberg Short-Term Interest Rates of Treasury Discount Bills 213/12/3 Recent Indicative Price Treasury Discount Bills (3-month) 6% Treasury Discount Bills (6-month) 55% Treasury Discount Bills (1-year) 5%.3 Treasury Discount Bills (3-month) Treasury Discount Bills (6-month) Treasury Discount Bills (1-year).2.1 <29> <21> <211> <212> Note: The Interest rates of FBs (13-weeks, 6-months) and TBs (6-months, 1-year) are used up till Jan. 29. Source: Japan Bond Trading Co.,Ltd Short-Term Interest Rates <213> Call Rate (Uncollateralized Overnight) TIBOR 3-months (Euro-Yen) Basic Loan Rate <29> <21> <211> <212> Source: Bank of Japan, Japan Bankers Association <213> 1,2 1,1 1, 9 8 JGB Over-the-Counter Trading Volume (TOKYO) Treasury Discount Bills Financing Bills Treasury Bills Medium Term Bonds Long Term Bonds <29> <21> <211> <212> <213> Note: In February 29, FBs (approx 2-month, 13-weeks, 6-months) and TBs (6-months, 1-year) are integrated into the Treasury Discount Bills. Source: Japan Securities Dealers Association -6-

7 JGB OUTSTANDING General Bonds Issuance Amount and Outstanding Outstanding (right-hand scale) Issuance Amount (left-hand scale) Note 1: Issuance Amount: revenue basis, FY22-212: actual, FY213: supplementary budget, FY214: initial budget Note 2: Outstanding: nominal basis, FY22-212: actual, FY : estimates Source: Ministry of Finance Time-to-Maturity Structure of Outstanding JGB (Sep. 213) (FY) Source: Ministry of Finance STRIPS(2-year bonds) STRIPS(1-year bonds) STRIPS(3-year bonds) Outstanding STRIPS STRIPS(5-year bonds) STRIPS(2-year bonds) STRIPS(4-year bonds) Average remaining years to maturity: 7 years and 5 months Treasury Bills 2-yr bonds JGBs for retail investors (3-yr-Fixed-rate) JGBs for retail investors (5-yr-Fixed-rate) 5-yr bonds Inflation-Indexed bonds JGBs for retail investors (Floating-rate) 1-yr bonds 15-yr-floating-rate bonds 2-yr bonds 3-yr bonds yr bonds Breakdown by JGB Holders (Sep. 213,QE) Foreigners % Pension Funds % Public Pensions % Households % Others % General Government (ex Public Pensions) % BOJ % Fiscal Loan Fund 2.2.2% (FY) Life and NonLife Insurance % Banks,etc % 1 5 1% Mar-11 Jun-11 Sep-11 Dec-11 Mar-12 Jun-12 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Note: Outstanding STRIPS means outstanding amount of principal of strippable JGBs held in stripped form. Source: Ministry of Finance 9.% 8.% 7.% 6.% 5.% 4.% 3.% 2.% 1.% JGBs Holding by Foreign Investors (trillilon yen) Total JGBs held by retail investors (left) 4.6% 4.6%4.6% 4.5%4.5% 4.5% 4.5% Outstanding "JGBs for retail investors" (left) 4.1% 4.2%4.3%4.4% 4.4%4.3%4.3% 9 4 Ratio of JGBs held by retail investors (right) 4.1% 3.8% 4.%3.9%3.8% 3.5% 3.7% % % % % % 3.1%3.%2.9% % 3.% % 7 2.6% %2.5%2.4% % 2.1% 2.2%2.3% % 2.%2.% Note1 : "JGB" includes FILP Bonds and T-Bills. Note2 : "Banks, etc" includes Japan Post Bank, "Securities investment trust" and "Securities Companies" Note3 : "Life and Nonlife insurance" includes Japan Post Insurance. Source: Bank of Japan JGB Holding by Retail Investors % 4.% 3.% 2.% 1.% % -1.% % Dec-4 Dec-5 Dec-6 Dec-7 Dec-8 Dec-9 Dec-1 Dec-11 Dec-12 Source: Bank of Japan Mar - 3 Mar - 4 Mar - 5 Mar - 6 Mar - 7 Mar - 8 Mar - 9 Mar - 1 Mar - 11 Mar - 12 Mar - 13 Dec - 13 Note: Outstanding "JGBs for retail investors" at Dec-13 is calculated to aggregate issues of 4.2 trillion - redemption before maturity of 11.4 trillion - aggregate redemption money of 11. trillion. Other figures are based on Bank of Japan Flow of Funds statistics. Source: Ministry of Finance, Bank of Japan Flow of Funds. -2.% -7-

8 6 ECONOMIC AND FINANCIAL TRENDS FY29 FY21 FY211 FY212 Apr-Jun FY213 Real GDP(chained 25) Jul-Sep Domestic Demand (-2.2) (2.6) (1.3) (1.5) (.7) (.7) Private Consumption Residential Investment Non-Resi. Investment Public Investment Net Exports (.2) (.8) (-1.) (-.8) (.1) (-.5) Index of Industrial Production (21 av.=1) Unemployment Rate Note: Percent changes from previous period (quarterly figures are seasonally adjusted). The figures in( )indicate the contribution to change in GDP. Source: Cabinet Office; Ministry of Internal Affairs and Communications; Ministry of Economy, Trade and Industry 9. Change from the previous year Prices Economic Indicators Debt Securities Investment in Japan by Non-Residents 7. CGPI(Corporate Goods Price Index) CPI (Nationwide, excluding fresh food, including energy prices) GDP Deflator Money Market Instrument Net Bonds and Notes Net % % % <28> <29> <21> <211> <212> <213> Source: Cabinet Office, Ministry of Internal Affairs and Communications, Bank of Japan General Government Financial Balances (SNA Basis) (As a percentage of GDP) -6 <28> <29> <21> <211> <212> <213> Source: Ministry of Finance General Government Gross Debts (SNA Basis) (As a percentage of GDP) Japan U.S.A. U.K Germany France Italy Canada Japan U.S.A. U.K. Germany France Italy Canada Note: For Japan and the U.S.A., where pension systems are based on a Modified Funded System, the figures exclude social security funds, which are regarded as future liabilities in real terms Source: OECD Economic Outlook No. 94 Source: OECD Economic Outlook No. 94 We will send a notice to you by when new information is updated on our website. For use of this service, please visit our website and register. ( Debt Management Policy Division, Financial Bureau, Ministry of Finance Kasumigaseki, Chiyoda-ku, Tokyo Japan Phone: Web: This printed matter was prepared using the paper that satisfies the judgment criteria of the basic policy under the Law Concerning the Promotion of Procurement of Eco-Friendly Goods and Services by the State and Other Entities (Law on Promoting Green Purchasing). Indication of the recyclability : Recyclable to paper This printed matter was prepared using only the material fit for recycling to printing papers(rank A) according to the judgment criteria printing of the basic policy under the Green Purchasing Law